题目
According to current Basel committee proposals, banks using the advanced measurement approach must calculate the operational risk capital charge at a:
选项
A.99 percentile confidence level and a 1-year time horizon.
B.99 percentile confidence level and a 5-year time horizon.
C.99.9 percentile confidence level and a 1-year time horizon.
D.99.9 percentile confidence level and a 5-year time horizon.
答案
C
解析
According to current Basel committee proposals,99.9 percentile confidence level and a 1-year time horizon for opt risk.巴塞尔委员会的规定，银行利用高级计量法计算操作风险资本金要求必须满足1年99.9%的置信水平。